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Short Communications

Application of autoregressive tail-index model to China's stock market

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Pages 31-34 | Received 08 Dec 2020, Accepted 08 Dec 2020, Published online: 04 Mar 2021

References

  • Deng, L., Yu, M., & Zhang, Z. (2020). Statistical learning of the worst regional smog extremes with dynamic conditional modeling. Atmosphere, 11(6), 665. https://doi.org/10.3390/atmos11060665
  • Zhang, Z. (2020). On studying extreme values and systematic risks with nonlinear time series models and tail dependence measures. Statistical Theory and Related Fields.
  • Zhao, Z., Zhang, Z., & Chen, R. (2018). Modeling maxima with autoregressive conditional Fréchet model. Journal of Econometrics, 207(2), 325–351. https://doi.org/10.1016/j.jeconom.2018.07.004

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